UNIFORMIZATION FOR NONHOMOGENEOUS MARKOV-CHAINS

被引：15
|
作者：
VANDIJK, NM
机构：
[1] University of Amsterdam, Amsterdam
来源：
OPERATIONS RESEARCH LETTERS | 1992年 / 12卷 / 05期
关键词：
CONTINUOUS-TIME MARKOV CHAINS; UNIFORMIZATION; TIME-DISCRETIZATION;
D O I：
10.1016/0167-6377(92)90086-I
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
The discrete Poissonian representation for transition probabilities of homogeneous continuous-time Markov chains, known as uniformization or randomization, is extended to time-inhomogeneous chains. For computational purposes a discrete-time approximation is also provided.
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页码：283 / 291
页数：9
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